Macroaxis considers Alcoa not too volatile given 1 month investment horizon. Alcoa
secures Sharpe Ratio (or Efficiency) of 0.1242 which signifies that Alcoa
had 0.1242% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for Alcoa Corporation which you can use to evaluate future volatility of the firm. Please makes use of Alcoa Mean Deviation
of 1.55 and Risk Adjusted Performance
of 0.0149 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Alcoa holds performance score of 8. The firm shows Beta (market volatility) of -0.0929 which signifies that as returns on market increase, returns on owning Alcoa are expected to decrease at a much smaller rate. During bear market, Alcoa is likely to outperform the market.. Although it is extremely important to respect Alcoa historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Alcoa technical indicators you can presently evaluate if the expected return of 0.2115% will be sustainable into the future. Please makes use of Alcoa Mean Deviation, Standard Deviation, Treynor Ratio, as well as the relationship between Downside Deviation and Information Ratio to make a quick decision on weather Alcoa price patterns will revert.
|15 days auto-correlation||(0.30) |
Weak reverse predictability
Alcoa Corporation has weak reverse predictability. Overlapping area represents the amount of predictability between Alcoa time series from June 15, 2018 to June 30, 2018 and June 30, 2018 to July 15, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alcoa price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current Alcoa price fluctuation can be explain by its past prices. Given that Alcoa Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alcoa for similar time interval.
|Correlation Coefficient|| -0.3|
|Spearman Rank Test|| 0.05|
|Price Variance|| 0.63|
|Lagged Price Variance|| 0.41|